Postmodern portfolio theory : navigating abnormal markets and investor behavior /

Postmodern portfolio theory : navigating abnormal markets and investor behavior /

Saved in:

Bibliographic Details
Author / Creator:	Chen, Jim, 1966- author.
Imprint:	New York : Palgrave Macmillan/Springer Nature, [2016] ©2016
Description:	1 online resource
Language:	English
Series:	Quantitative perspectives on behavioral economics and finance Quantitative perspectives on behavioral economics and finance.
Subject:	Portfolio management -- Mathematical models. Investments. Capital market. Economics. Macroeconomics. Capital market. Economics. Investments. Macroeconomics. Portfolio management -- Mathematical models.
Format:	E-Resource Book
URL for this record:	http://pi.lib.uchicago.edu/1001/cat/bib/11265113

Hidden Bibliographic Details
ISBN:	9781137544643 1137544643 9781137544636
Notes:	Includes bibliographical references and index. Online resource; title from PDF title page (EBSCO, viewed August 30, 2016).
Summary:	This survey of portfolio theory, from its modern origins through more sophisticated, "postmodern" incarnations, evaluates portfolio risk according to the first four moments of any statistical distribution: mean, variance, skewness, and excess kurtosis. In pursuit of financial models that more accurately describe abnormal markets and investor psychology, this book bifurcates beta on either side of mean returns. It then evaluates this traditional risk measure according to its relative volatility and correlation components. After specifying a four-moment capital asset pricing model, this book devotes special attention to measures of market risk in global banking regulation. Despite the deficiencies of modern portfolio theory, contemporary finance continues to rest on mean-variance optimization and the two-moment capital asset pricing model. The term postmodern portfolio theory captures many of the advances in financial learning since the original articulation of modern portfolio theory. A comprehensive approach to financial risk management must address all aspects of portfolio theory, from the beautiful symmetries of modern portfolio theory to the disturbing behavioral insights and the vastly expanded mathematical arsenal of the postmodern critique. Mastery of postmodern portfolio theoryℓ́ℓs quantitative tools and behavioral insights holds the key to the efficient frontier of risk management.

Description
Summary:	This survey of portfolio theory, from its modern origins through more sophisticated, "postmodern" incarnations, evaluates portfolio risk according to the first four moments of any statistical distribution: mean, variance, skewness, and excess kurtosis. In pursuit of financial models that more accurately describe abnormal markets and investor psychology, this book bifurcates beta on either side of mean returns. It then evaluates this traditional risk measure according to its relative volatility and correlation components. After specifying a four-moment capital asset pricing model, this book devotes special attention to measures of market risk in global banking regulation. Despite the deficiencies of modern portfolio theory, contemporary finance continues to rest on mean-variance optimization and the two-moment capital asset pricing model. The term postmodern portfolio theory captures many of the advances in financial learning since the original articulation ofmodern portfolio theory. A comprehensive approach to financial risk management must address all aspects of portfolio theory, from the beautiful symmetries of modern portfolio theory to the disturbing behavioral insights and the vastly expanded mathematical arsenal of the postmodern critique. Mastery of postmodern portfolio theory's quantitative tools and behavioral insights holds the key to the efficient frontier of risk management.
Physical Description:	1 online resource
Bibliography:	Includes bibliographical references and index.
ISBN:	9781137544643 1137544643 9781137544636